Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

Diebold, Francis X.

doi:10.1080/07350015.2014.983236

Cited by 496Forecasting Techniques and ApplicationsStatistical Methods and InferenceMonetary Policy and Economic Impact

Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

Diebold, Francis X.·2015·Journal of Business & Economic Statistics

DOI 10.1080/07350015.2014.983236

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Abstract

The Diebold–Mariano (DM) test was intended for comparing forecasts; it has been, and remains, useful in that regard. The DM test was not intended for comparing models. Much of the large ensuing literature, however, uses DM-type tests for comparing models, in pseudo-out-of-sample environments. In that case, simpler yet more compelling full-sample model comparison procedures exist; they have been, and should continue to be, widely used. The hunch that pseudo-out-of-sample analysis is somehow the “only,” or “best,” or even necessarily a “good” way to provide insurance against in-sample overfitting in model comparisons proves largely false. On the other hand, pseudo-out-of-sample analysis remains useful for certain tasks, perhaps most notably for providing information about comparative predictive performance during particular historical episodes.

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The model-free nature of the Diebold-Mariano test means that it should be interpreted as a comparison of forecasts, not as a comparison of fully articulated econometric models.
“As emphasized byDiebold (2015), the model-free nature of the Diebold-Mariano test means that it should be interpreted as a comparison of forecasts, not as a comparison of”
From Empirical Asset Pricing via Machine Learning (2020) · cites this paper as Diebold (2015)

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Authors: Diebold, F. X.
Affiliations: University of Pennsylvania (US)
Corresponding author: Diebold, Francis X.
Venue: Journal of Business & Economic Statistics
Publisher: Informa UK Limited
Published: 2015-01-02
Volume: 33
Issue: 1
Pages: 1-1
ISSN: 0735-0015 (ISSN-L)
1537-2707
DOI: 10.1080/07350015.2014.983236
OpenAlex: W2007694684
Cited by: 496
References: 41
Citations by year: 2026: 66 · 2025: 60 · 2024: 48 · 2023: 46 · 2022: 39 · 2021: 46 · 2020: 35 · 2019: 34 · 2018: 36 · 2017: 33 · 2016: 20 · 2015: 22 · 2014: 6 · 2013: 4 · 2012: 1
FWCI: 46.52
Type: journal article
Language: en
Open access: closed
Locations: Journal of Business and Economic Statistics (publishedVersion)
RePEc: Research Papers in Economics (submittedVersion)
Topics: Social Sciences › Decision Sciences › Management Science and Operations Research › Forecasting Techniques and Applications
Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
Keywords: Diebold-Mariano test, forecast evaluation, model comparison, prediction accuracy, forecasting model comparison

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Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

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